subIntervals: Generate the intervals containing jth point of the grid.
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Generate the intervals containing jth point of the grid.
Usage
1
subIntervals(x)
Arguments
x
a vector containing the scenarios
Value
a list containing
xLB a vector containing the lower bound of each interval
xUB a vector containing the upper bound of each interval
I_{j} \equiv \big[ x_{j} - \frac{x_{j} - x_{j-1}
}{2}, x_{j} + \frac{x_{j+1} - x_{j}}{2} \big)
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com
References
A. Meucci - "Fully Flexible Extreme Views" - See formula
(17) http://ssrn.com/abstract=1542083
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
Generate the intervals containing jth point of the grid.
Usage
1 | subIntervals(x)
|
Arguments
x |
a vector containing the scenarios |
Value
a list containing
xLB a vector containing the lower bound of each interval
xUB a vector containing the upper bound of each interval
I_{j} \equiv \big[ x_{j} - \frac{x_{j} - x_{j-1} }{2}, x_{j} + \frac{x_{j+1} - x_{j}}{2} \big)
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com
References
A. Meucci - "Fully Flexible Extreme Views" - See formula (17) http://ssrn.com/abstract=1542083
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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